CRSP Survivor-Bias Free US Mutual Fund

Description     Issues or Changes     Access & Installation     Documentation 

 

Description

The CRSP Survivor-Bias Free US Mutual Fund Database is designed to facilitate research on the historical performance of open-ended mutual funds by using survivor-bias-free data.

CRSP tracks monthly returns, monthly total net assets, monthly net asset values, daily net asset values, and monthly distributions for open-ended mutual funds beginning January 1, 1962. The CRSP Mutual Fund files includes identification information, fund objectives, fees, total net assets, monthly and daily net asset values, returns, and distributions for open-ended live funds and dead funds. Dead funds are typically removed from other mutual fund databases, which leaves a survivor-bias. This imposes a selection bias on the mutual fund data available to researchers: only survivors are included. The database is updated quarterly and is delivered in SAS formats. For more information, go to the documentation or the vendor site.

Data Year

  • Beginning December, 1961 - current.


Update Schedule

  • The database is updated quarterly, with a one-month lag through the most recently completed calendar quarter.


File Descriptions

The CRSP Survivor-Bias Free US Mutual Fund Database records each mutual fund's name and organizational history, provides open-ended mutual fund data beginning December 1961 for funds of all investment objectives, principally equity funds, taxable and municipal bond funds, international funds and money market funds.

The CRSP Mutual Fund Database Files contain updated data through the end of the previous calendar quarter. The database consists of a group of tables listed in Table Overview below. 
  1. contact_info: Contact Information -Current and historical contact information
  2. crsp_portno_map: CRSP PORTNO Map -Map to portfolio for security holdings info
  3. daily_nav: Daily Net Asset Value -Net Asset Value for each trading day
  4. daily_returns: Daily Returns -Returns for each trading day
  5. dividends: Dividends -Fund dividends
  6. front_load_det: Front Load Detail -Details of front load fees
  7. front_load_grp: Front Load Group -Effective dates for front load fees
  8. fund_fees Fund: Fees -Fees associated with each fund
  9. fund_hdr Fund: Header -Most recent identification information for each fund
  10. fund_hdr_hist: Historical Fund Header -Historical identification information for each fund
  11. fund_style: Fund Style -Style attributes for each fund
  12. fund_summary: Fund Summary -Summary data for each fund
  13. holdings: Holdings -Portfolio holding information
  14. icdi_map: ICDI Map -Map ICDI to portfolio for security holdings info
  15. monthly_nav: Monthly Net Asset Value -Net Asset Values as of the last trading day of each month
  16. monthly_returns: Monthly Returns -Monthly holding period returns
  17. monthly_tna Monthly: Total Net Assets -Total Net Assets as of the last trading day of each month
  18. rear_load_det: Rear Load Detail -Details of rear load fees
  19. rear_load_grp: Rear Load Group -Effective dates for rear load fees

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Issues or Changes

new! 07/2009 The current Mutual Fund Database contains data through June 2009, and officially ends the quarterly lag.

In this release 2,207 new historical funds have been added to the Mutual Funds Database. These funds were not available from our previous data vendor. The complete list is available online at: www.crsp.chicagobooth.edu/support/funds/added/index.html The database has 43,043 total funds. Of these 27,795 are active and 15,248 are delisted. More detail...

The CRSP Survivor-Bias Free US Mutual Fund Database is no longer supported in Microsoft Access. The primary delivery format is SAS format. For additional research and programming changes, go to the latest CRSP Mutual Fund Release Note.

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Access & Installation

You can copy the existing files from the Research data server R:\cb_data\crsp\Mfund\Mfund1003\data to your local computer and read these files directly into SAS. For the complete database you will need approximately 4.79 GB of disk space. We recommend a minimum of an additional 2 Gb of disk space for data manipulation.

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(Last update 02/06/2012)     (back to top) 

Documentation